Suppose that the S&P 500, with a beta of 1.0, has an expected return of 10%. The risk-free return is 4%. (a) Construct a portfolio with an expected return of 8%. what are the weights? what is the beta of the portfolio? What is the risk premium for the portfolio? Equity weight Risk free weight (b) Construct a portfolio with a beta of 0.4. What are the weights? What is the expected return? Beta Expected return Risk premium Equity weight Risk free weight (c) Demonstrate that the risk premium is proportional to beta. Beta Expected return Risk premium